Sorry you're having such a time of it. The EDL process is complicated by the default settings in the Sg preference panel and of a couple little insignificant check boxes in larger dialog boxes over in PrPro when you export either just an EDL or both an EDL and flattened version of your sequence that set the frame to say upper-first EVEN WHEN SAME AS SOURCE is selected, which in my case is always progressive. I ALWAYS have to set that to "none" or Sg will give me the Red Box of Death message and say my frame-rates do not match. I posted a thread about this on the Sg forum a week back ... scroll down for it, you will probably be able to get the EDL process working. EDL allows for importing either just an EDL and navigating to the folder of all the clips involved (very fast way to get working) OR exporting a flattened final version of your content into say mov or something that Sg takes (it has a limited codec acceptance, sadly) and then within Sg's Media panel grabbing & dragging the footage onto the timeline area and then the EDL on top of it or the other way around.
Now ... before even trying this ... you have to open Sg, go to the preferences panel, and set the frame-rates to match the footage you'll be working. THEN you can import the stuff. It's not like PrPro where you can import anything and change settings as you go along.
Now, back to Direct Link ... this should NOT be doing that! So ... first thing, is to check your computer's system settings ... I'm not sure of the Mac settings, but I know in Windows sometimes there's a setting to apply a video player's color-controls rather than system controls that can really cause garbage in how different things "play" video. That needs to be set to the system control, if Mac has a similar thing. Dennis Weinmann or Fran Roig would know about that.
Next ... I found for myself that before I used my eye1 calibration system set to "video" (it was set for still images) I did get some difference in gamma, though moderately slight (mostly) between PrPro & Ae on one hand and Sg on the other. This was back a couple releases so I don't know if that would still apply. My Sg stuff always came into PrPro just a bit darker in mids than it appeared in Sg. Calibrated for video use, they matched perfectly.
Past that, it would be very good for you to post screen grabs of how something looks in Sg, then with the same Look applied over in PrPro, on the same clip. Include footage details, any effects & software that have touched the clip/sequence, please. THAT would be very good for Dennis & Fran to see, perhaps share with the behind-the-scenes folk to get a better answer for you.
This IS fixable. Stay with us a bit, I know it's a pain in the tushie ...
Neil